Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0273 |
| Annualized Std Dev | 0.2810 |
| Annualized Sharpe (Rf=0%) | 0.0972 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3728.0000 |
| NAs | 1.0000 |
| Minimum | -0.1413 |
| Quartile 1 | -0.0059 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1911 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0177 |
| Skewness | 0.0348 |
| Kurtosis | 13.5894 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0127 |
| Gain Deviation | 0.0135 |
| Loss Deviation | 0.0146 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.7802 |
| Historical VaR (95%) | -0.0251 |
| Historical ES (95%) | -0.0443 |
| Modified VaR (95%) | -0.0238 |
| Modified ES (95%) | -0.0238 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-23 | 2009-03-09 | 2016-11-21 | -0.7802 | 2394 | 452 | 1942 |
| 2020-02-12 | 2020-03-23 | 2021-03-12 | -0.4496 | 273 | 28 | 245 |
| 2018-01-29 | 2018-12-24 | 2019-06-05 | -0.2199 | 340 | 229 | 111 |
| 2017-08-03 | 2017-09-07 | 2017-10-16 | -0.0855 | 52 | 25 | 27 |
| 2019-07-15 | 2019-08-23 | 2020-01-17 | -0.0709 | 131 | 30 | 101 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | 0.4 | 1.1 | -0.6 | 0.3 | -0.4 | -0.5 | -1 | -0.7 | -1.3 |
| 2007 | 0.7 | -0.1 | 0 | -0.6 | 0.2 | -0.6 | 0.5 | 1.2 | 1.7 | -3 | 1.5 | 0 | 1.4 |
| 2008 | 1.9 | -3.5 | 4 | 2.4 | -0.3 | -0.2 | 1.1 | -0.3 | -2.3 | 4.1 | -9.8 | 2.3 | -1.5 |
| 2009 | -4 | -5.9 | 2.5 | -1.1 | 3.5 | 1 | 1.3 | -4.7 | -3.4 | -4.2 | 0.2 | -0.9 | -15.2 |
| 2010 | 0.5 | 1 | 0.8 | -1.9 | -2.5 | -0.6 | 0 | 3.8 | -0.4 | 0.2 | 2.2 | 0 | 3.1 |
| 2011 | 2 | -1.4 | 0.9 | -0.1 | -2.6 | 1.1 | -0.9 | -1.6 | 1.2 | -5.1 | -1.2 | -0.1 | -7.6 |
| 2012 | 2.1 | 0.6 | 0.6 | 1.2 | -3.3 | 2.4 | -0.6 | 0.4 | 0.5 | 0.2 | 0 | 1.4 | 5.6 |
| 2013 | 1.7 | -0.2 | -0.6 | -0.9 | -1.4 | 1 | 2.8 | -0.7 | 0.6 | -0.9 | 0.1 | 0.4 | 1.8 |
| 2014 | -1.1 | 0.8 | 0.4 | 0.2 | -0.2 | 1.2 | -0.4 | 0.4 | -1.3 | 1.1 | -0.8 | -1.2 | -1 |
| 2015 | -1.5 | 0 | -0.4 | 1.2 | -0.3 | 2.3 | -0.6 | -2.8 | -0.2 | -1 | 0.9 | -1 | -3.4 |
| 2016 | 0 | 2.9 | 1.2 | -0.1 | 0.1 | 0.1 | -0.4 | -0.4 | 0.8 | -0.9 | 0.9 | -0.1 | 4 |
| 2017 | -0.2 | 2.1 | 0 | 0.2 | 1.2 | -0.1 | 0.4 | 0.2 | 0.2 | 0.3 | -0.1 | -0.2 | 4 |
| 2018 | 0.5 | -2 | -0.1 | -0.5 | 0.6 | 0 | -0.3 | -0.1 | -0.6 | 0.2 | -0.8 | 0.9 | -2 |
| 2019 | 0.6 | 0.4 | 1.7 | -0.9 | -1 | 1.4 | -2.2 | 0.2 | -2 | 0.4 | -0.4 | 0.3 | -1.6 |
| 2020 | -1.6 | -4.2 | -5.9 | -4.5 | 0.6 | -2.1 | 0.3 | -0.1 | -0.1 | -0.6 | 2.3 | 0.9 | -14.4 |
| 2021 | 1 | 2.3 | -1.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
